SuperTrend VS Benchmark
1 Jan, 2018 - 30 Apr, 2025

Benchmark is BTC_RETURN | Generated by QuantStats (v. 0.0.59)

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	51.0%	100.0%

Cumulative Return	-98.91%	596.22%
CAGR﹪	-46.0%	30.31%

Sharpe	-0.1	0.06
Prob. Sharpe Ratio	0.09%	97.56%
Smart Sharpe	-0.1	0.06
Sortino	-0.14	0.09
Smart Sortino	-0.14	0.09
Sortino/√2	-0.1	0.06
Smart Sortino/√2	-0.1	0.06
Omega	0.97	0.97

Max Drawdown	-99.06%	-81.56%
Longest DD Days	2671	1046
Volatility (ann.)	3.79%	6.15%
R^2	0.42	0.42
Information Ratio	-0.01	-0.01
Calmar	-0.46	0.37
Skew	0.27	0.6
Kurtosis	101.07	96.08

Expected Daily	-0.0%	0.0%
Expected Monthly	-5.0%	2.23%
Expected Yearly	-43.14%	27.45%
Kelly Criterion	-2.33%	2.54%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.39%	-0.64%
Expected Shortfall (cVaR)	-0.39%	-0.64%

Max Consecutive Wins	12	14
Max Consecutive Losses	12	13
Gain/Pain Ratio	-0.16	0.13
Gain/Pain (1M)	-0.58	0.79

Payoff Ratio	1.04	1.04
Profit Factor	0.97	1.01
Common Sense Ratio	0.96	1.02
CPC Index	0.48	0.53
Tail Ratio	0.99	1.0
Outlier Win Ratio	13.48	4.03
Outlier Loss Ratio	4.58	3.97

MTD	3.96%	14.33%
3M	-15.73%	-9.02%
6M	-28.09%	29.76%
YTD	-19.22%	0.86%
1Y	-44.55%	47.78%
3Y (ann.)	-42.36%	48.97%
5Y (ann.)	-41.47%	59.71%
10Y (ann.)	-46.0%	30.31%
All-time (ann.)	-46.0%	30.31%

Best Day	8.18%	22.63%
Worst Day	-12.63%	-13.17%
Best Month	29.32%	60.78%
Worst Month	-41.77%	-37.29%
Best Year	-3.59%	301.98%
Worst Year	-81.47%	-72.68%

Avg. Drawdown	-10.69%	-2.97%
Avg. Drawdown Days	223	10
Recovery Factor	-1.0	7.31
Ulcer Index	0.89	0.48
Serenity Index	-0.0	0.06

Avg. Up Month	9.79%	28.43%
Avg. Down Month	-12.45%	-12.48%
Win Days	47.84%	50.39%
Win Month	30.68%	52.27%
Win Quarter	23.33%	53.33%
Win Year	0.0%	75.0%

Beta	0.4	-
Alpha	-0.01	-
Correlation	64.47%	-
Treynor Ratio	-249.17%	-

EOY Returns vs Benchmark

Year	Benchmark	Strategy	Multiplier	Won
2018	-72.68	-81.47	1.12	-
2019	94.31	-9.16	-0.10	-
2020	301.98	-3.59	-0.01	-
2021	59.79	-40.58	-0.68	-
2022	-64.21	-68.41	1.07	-
2023	155.61	-31.29	-0.20	-
2024	121.31	-35.36	-0.29	-
2025	0.86	-19.22	-22.34	-

Worst 10 Drawdowns

Started	Recovered	Drawdown	Days
2018-01-05	2025-04-30	-99.06	2671
2018-01-03	2018-01-05	-9.35	2
2018-01-01	2018-01-02	-5.88	1
2018-01-02	2018-01-03	-3.24	0
2018-01-01	2018-01-01	-2.50	0
2018-01-02	2018-01-02	-2.32	0
2018-01-03	2018-01-03	-2.21	0
2018-01-01	2018-01-01	-1.47	0
2018-01-02	2018-01-02	-0.67	0
2018-01-01	2018-01-01	-0.66	0